Monte Carlo Methods
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A general problem in probability and statistical applications is the computation of an expectation of a random variable. We illustrate the use of R to compute some expectations by the Monte Carlo method. These computations are helpful in comparing sampling properties of point estimators or evaluating probabilities of coverage of interval estimators. We illustrate the use of Markov chain Monte Carlo (MCMC) methods in simulating from sampling distributions.
KeywordsMarkov Chain Markov Chain Monte Carlo Acceptance Rate Coverage Probability Simulated Sample
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